Related papers: Capital-Allocation-Induced Risk Sharing
We build a state-of-the-art dynamic model of private asset allocation that considers five key features of private asset markets: (1) the illiquid nature of private assets, (2) timing lags between capital commitments, capital calls, and…
When multiple innovations compete for adoption, historical chance leading to early advantage can generate lock-in effects that allow suboptimal innovations to succeed at the expense of superior alternatives. Research on the diffusion of…
Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independence of the underlying factors in the market to derive the…
Horizontal agreements can fall within the scope of exemptions to antitrust competition if they are expected to create pro-consumer benefits. Inspired by such horizontal agreements, we introduce a cooperative game in which a set of transport…
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…
Reducing wealth inequality and disparity is a global challenge. The economic system is mainly divided into (1) gift and reciprocity, (2) power and redistribution, (3) market exchange, and (4) mutual aid without reciprocal obligations. The…
In this paper, we analyze the problem of how to adapt the concept of proportionality to situations where several perfectly divisible resources have to be allocated among certain set of agents that have exactly one claim which is used for…
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
Contrary to traditional deterministic notions of algorithmic fairness, this paper argues that fairly allocating scarce resources using machine learning often requires randomness. We address why, when, and how to randomize by proposing…
Randomisation and time-sharing are some of the oldest methods to achieve fairness. I make a case that applying these approaches to social choice settings constitutes a powerful paradigm that deserves an extensive and thorough examination. I…
A dynamic model of the social relations between workers and capitalists is introduced. The model is deduced from the assumption that the law of value is an organising principle of modern economies. The model self-organises into a dynamic…
This paper considers an insurer with two collaborating business lines, and the risk exposure of each line follows a diffusion risk model. The manager of the insurer makes three decisions for each line: (i) dividend payout, (ii)…
In general, underestimation of risk is something which should be avoided as far as possible. Especially in financial asset management, equity risk is typically characterized by the measure of portfolio variance, or indirectly by quantities…
Traditional random access schemes are designed based on the aggregate process of user activation, which is created on the basis of independent activations of the users. However, in Machine-Type Communications (MTC), some users are likely to…
I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained…
A principal uses payments conditioned on stochastic outcomes of a team project to elicit costly effort from the team members. We develop a multi-agent generalization of a classic first-order approach to contract optimization by leveraging…
We present an historical overview about the connections between the analysis of risk and the control of autonomous systems. We offer two main contributions. Our first contribution is to propose three overlapping paradigms to classify the…
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to…
The report suggests the concept of risk, outlining two mathematical structures necessary for risk genesis: the set of outcomes and, in a general case, partial order of preference on it. It is shown that this minimum partial order should…
We introduce a framework for systemic risk modeling in insurance portfolios using jointly exchangeable arrays, extending classical collective risk models to account for interactions. Joint exchangeability is a more general probabilistic…